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uncrossArbBot changes and improvements #83

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uncrossArbBot changes and improvements #83

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050c83d
BUGFIX: uncrossArbBot was not obeying dry run setting
ricardojmendez Oct 25, 2023
9dba735
Removed unused imports from uncrossArbBot
ricardojmendez Oct 25, 2023
927d770
Removed exception dump on NoArbOpportunity
ricardojmendez Oct 25, 2023
f4d28f5
Adding priority fees to uncrossArbBot
ricardojmendez Oct 25, 2023
04129c7
Fixed noArbOpError logging
ricardojmendez Oct 30, 2023
74b8847
Added optional fee multiplier to uncrossArbBot
ricardojmendez Oct 30, 2023
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127 changes: 81 additions & 46 deletions src/bots/uncrossArbBot.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -9,29 +9,23 @@ import {
DLOBSubscriber,
UserMap,
SlotSubscriber,
UserStatsMap,
MakerInfo,
PerpMarkets,
getUserStatsAccountPublicKey,
PriorityFeeCalculator,
} from '@drift-labs/sdk';
import { Mutex, tryAcquire, E_ALREADY_LOCKED } from 'async-mutex';
import { logger } from '../logger';
import { Bot } from '../types';
import {
getBestLimitAskExcludePubKey,
getBestLimitBidExcludePubKey,
sleepMs,
} from '../utils';
import { JitProxyClient } from '@drift-labs/jit-proxy/lib';
import dotenv = require('dotenv');

dotenv.config();
import { BaseBotConfig } from 'src/config';
import {
AddressLookupTableAccount,
ComputeBudgetInstruction,
ComputeBudgetProgram,
} from '@solana/web3.js';
import { UncrossArbBotConfig } from 'src/config';
import { AddressLookupTableAccount } from '@solana/web3.js';

const TARGET_LEVERAGE_PER_ACCOUNT = 1;

Expand All @@ -57,13 +51,16 @@ export class UncrossArbBot implements Bot {
private dlobSubscriber: DLOBSubscriber;
private slotSubscriber: SlotSubscriber;
private userMap: UserMap;
private priorityFeeCalculator: PriorityFeeCalculator;

private feeMultiplier: number;

constructor(
driftClient: DriftClient, // driftClient needs to have correct number of subaccounts listed
jitProxyClient: JitProxyClient,
slotSubscriber: SlotSubscriber,
userMap: UserMap,
config: BaseBotConfig,
config: UncrossArbBotConfig,
driftEnv: DriftEnv
) {
this.jitProxyClient = jitProxyClient;
Expand All @@ -73,6 +70,9 @@ export class UncrossArbBot implements Bot {
this.driftEnv = driftEnv;
this.slotSubscriber = slotSubscriber;
this.userMap = userMap;
this.feeMultiplier = config.feeMultiplier ?? 1;

this.priorityFeeCalculator = new PriorityFeeCalculator(Date.now());

this.dlobSubscriber = new DLOBSubscriber({
dlobSource: this.userMap,
Expand All @@ -88,6 +88,18 @@ export class UncrossArbBot implements Bot {
public async init(): Promise<void> {
logger.info(`${this.name} initing`);

if (this.dryRun) {
logger.warn(`${this.name} on DRY RUN. Will not place any transactions.`);
}

if (this.feeMultiplier != 1) {
logger.info(
`${this.name} using ${this.feeMultiplier.toFixed(
2
)} as a fee multiplier`
);
}

await this.dlobSubscriber.subscribe();
this.lookupTableAccount =
await this.driftClient.fetchMarketLookupTableAccount();
Expand Down Expand Up @@ -212,49 +224,72 @@ export class UncrossArbBot implements Bot {
const midPrice = (bestBidPrice + bestAskPrice) / 2;
if (
(bestBidPrice - bestAskPrice) / midPrice >
2 * driftUser.getMarketFees(MarketType.PERP, perpIdx).takerFee
this.feeMultiplier *
2 *
driftUser.getMarketFees(MarketType.PERP, perpIdx).takerFee
) {
try {
this.driftClient.txSender
.sendVersionedTransaction(
await this.driftClient.txSender.getVersionedTransaction(
[
ComputeBudgetProgram.setComputeUnitLimit({
units: 1_000_000,
}),
await this.jitProxyClient.getArbPerpIx({
marketIndex: perpIdx,
makerInfos: [bidMakerInfo, askMakerInfo],
}),
],
[this.lookupTableAccount!],
logger.info(
`Found arb opportunity @ midPrice $${midPrice.toFixed(
4
)} between Bid: $${bestBidPrice.toFixed(
4
)} Ask: $${bestAskPrice.toFixed(4)} `
);
if (!this.dryRun) {
const usePriorityFee =
this.priorityFeeCalculator.updatePriorityFee(
Date.now(),
this.driftClient.txSender.getTimeoutCount()
);
const ixs =
this.priorityFeeCalculator.generateComputeBudgetWithPriorityFeeIx(
1_000_000,
usePriorityFee,
1_000_000_000 // 1000 lamports
);
ixs.push(
await this.jitProxyClient.getArbPerpIx({
marketIndex: perpIdx,
makerInfos: [bidMakerInfo, askMakerInfo],
})
);
this.driftClient.txSender
.sendVersionedTransaction(
await this.driftClient.txSender.getVersionedTransaction(
ixs,
[this.lookupTableAccount!],
[],
this.driftClient.opts
),
[],
this.driftClient.opts
),
[],
this.driftClient.opts
)
.then((txResult) => {
logger.info(
`Potential arb with sig: ${txResult.txSig}. Check the blockchain for confirmation.`
);
})
.catch((e) => {
if (e.logs && e.logs.length > 0) {
)
.then((txResult) => {
logger.info(
`Potential arb with sig: ${txResult.txSig}. Check the blockchain for confirmation.`
);
})
.catch((e) => {
let noArbOpError = false;
for (const log of e.logs) {
if (log.includes('NoArbOpportunity')) {
noArbOpError = true;
break;
if (e.logs && e.logs.length > 0) {
for (const log of e.logs) {
if (log.includes('NoArbOpportunity')) {
noArbOpError = true;
break;
}
}
}
console.error(`Not no arb opp error:\n`);
console.error(e);
} else {
console.error(`Caught unknown error:\n`);
console.error(e);
}
});
if (noArbOpError) {
console.error(`NoArbOpportunity error`);
} else {
console.error(`Caught unknown error:\n`);
console.error(e);
}
});
} else {
logger.warn(`DRY RUN - Did not place any transactions`);
}
} catch (e) {
if (e instanceof Error) {
logger.error(
Expand Down
4 changes: 4 additions & 0 deletions src/config.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -26,6 +26,10 @@ export type FillerConfig = BaseBotConfig & {
revertOnFailure?: boolean;
};

export type UncrossArbBotConfig = BaseBotConfig & {
feeMultiplier?: number;
};

export type SubaccountConfig = {
[key: number]: Array<number>;
};
Expand Down